QIMMATLI QOGʻOZLAR PORTFELIDAN KUTILAYOTGAN DAROMADGA TAʼSIR QILUVCHI OMILLARNI EKONOMETRIK MODEL ORQALI BAHOLASH
DOI:
https://doi.org/10.5281/zenodo.19890332Keywords:
panel tahlil, ekonometrik model, kutilayotgan daromad, OLS regressiya, Fixed Effects, Random Effects, Hausman testi, Breusch–Pagan LM testi, z-skoring, P/E, ROE, EPS, P/B, prognozAbstract
Maqolada qimmatli qogʻozlar portfelidan kutilayotgan daromadga taʼsir etuvchi fundamental va multiplikator
omillari panel ekonometrik tahlil asosida baholangan. Tadqiqot “Toshkent” Respublika fond birjasida faoliyat yuritayotgan
14 ta aksiyadorlik jamiyatining 2019–2024-yillardagi 84 ta kuzatuvdan iborat panel maʼlumotlariga asoslangan. Modelda
ROE, ROA, sof foyda marjasi, EPS, D/E, P/E, P/S va P/B koʻrsatkichlari mustaqil oʻzgaruvchilar sifatida tanlangan.
Maʼlumotlarga logarifmik transformatsiya va z-skoring usullari qoʻllanilib, OLS, Fixed Effects va Random Effects modellari
taqqoslangan. Hausman testi hamda Breusch–Pagan LM testi natijalariga koʻra, Random Effects modeli maqbul deb
topilgan. Model natijalariga koʻra, R2 = 0,634 va F-test p < 0,001 boʻlib, P/E (β = 0,6046; p < 0,001), ROE (β = 0,5839;
p = 0,032), EPS (β = 0,2239; p = 0,048) hamda P/B (β = 0,1189; p = 0,039) kutilayotgan daromadga statistik ahamiyatli
ijobiy taʼsir koʻrsatgan. D/E nisbati esa statistik ahamiyatga ega emasligi aniqlangan (p = 0,504). Olingan natijalar asosida
2025–2028-yillar uchun portfel daromadliligi prognozi ishlab chiqilgan.
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